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Home > Releases > An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates > Fitted Instantaneous Forward Rate 6 Years Hence
Observation:
2023-01-27: 3.0685 (+ more)2023-01-27: | 3.0685 | |
2023-01-26: | 3.0433 | |
2023-01-25: | 3.0218 | |
2023-01-24: | 3.0379 | |
2023-01-23: | 3.0703 |
Units:
Percent,Frequency:
DailyData in this graph are copyrighted. Please review the copyright information in the series notes before sharing.
Title | Release Dates | |
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Fitted Instantaneous Forward Rate 6 Years Hence | 2016-05-27 | 2023-01-31 |
Source | ||
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Board of Governors of the Federal Reserve System (US) | 2016-05-27 | 2023-01-31 |
Release | ||
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An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates | 2016-05-27 | 2023-01-31 |
Units | ||
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Percent | 2016-05-27 | 2023-01-31 |
Frequency | ||
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Daily | 2016-05-27 | 2023-01-31 |
Seasonal Adjustment | ||
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Not Seasonally Adjusted | 2016-05-27 | 2023-01-31 |
Notes | ||
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Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html
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2016-05-27 | 2023-01-31 |
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